Date of Award
Fall 2022
Degree Type
Restricted to Claremont Colleges Dissertation
Degree Name
Economics, PhD
Program
School of Social Science, Politics, and Evaluation
Advisor/Supervisor/Committee Chair
Thomas D. Willett
Dissertation or Thesis Committee Member
Graham Bird
Dissertation or Thesis Committee Member
Levan Efremidze
Terms of Use & License Information
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Rights Information
© 2022 Mengjia Xu
Subject Categories
Economics
Abstract
This dissertation uses simple correlation coefficients and dynamic conditional correlation (DCC) coefficients to evaluate stock market interdependence and contagion between Asian emerging stock markets and the world stock market, as well as among Asian emerging stock markets themselves from 1995 to 2017. At the global level, the Asian emerging markets had an increasing level of interdependence with the world market over time. A significant increase in the level of interdependence was found during the 1997–1998 Asian Financial Crisis and the 2007–2009 Global Financial Crisis, indicating contagion. However, during the 2000–2002 dot-com crash, the level of interdependence did not change significantly. Furthermore, during the Global Financial Crisis, the correlation increased significantly in the second sub-phase after the Lehman Brothers collapsed. At the regional level, the market interdependence between pairwise Asian emerging markets increased over time and increased significantly during the Asian Financial Crisis and the Global Financial Crisis, which implied contagion. However, during the dot-com collapse, no significant increase in the level of market interdependence was found. In the two sub-phases of the Global Financial Crisis, the level of stock market interdependence among Asian emerging markets increased in the second sub-phase after the Lehman Brothers collapsed.
ISBN
9798845417411
Recommended Citation
Xu, Mengjia. (2022). Stock Market Interdependence and Contagion between Asian Emerging Markets and the World Market. CGU Theses & Dissertations, 483. https://scholarship.claremont.edu/cgu_etd/483.
